BAWAG Group (Austria) Market Value
| BG Stock | EUR 55.95 1.65 3.04% |
| Symbol | BAWAG |
BAWAG Group 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to BAWAG Group's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of BAWAG Group.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in BAWAG Group on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding BAWAG Group AG or generate 0.0% return on investment in BAWAG Group over 30 days. BAWAG Group is related to or competes with Erste Group, Raiffeisen Bank, UNIQA Insurance, OMV Aktiengesellscha, and Wienerberger. BAWAG Group AG operates as a holding company for BAWAG P.S.K More
BAWAG Group Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure BAWAG Group's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess BAWAG Group AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.15 | |||
| Information Ratio | 0.1331 | |||
| Maximum Drawdown | 12.35 | |||
| Value At Risk | (2.40) | |||
| Potential Upside | 2.79 |
BAWAG Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BAWAG Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BAWAG Group's standard deviation. In reality, there are many statistical measures that can use BAWAG Group historical prices to predict the future BAWAG Group's volatility.| Risk Adjusted Performance | 0.112 | |||
| Jensen Alpha | 0.2543 | |||
| Total Risk Alpha | 0.1288 | |||
| Sortino Ratio | 0.1134 | |||
| Treynor Ratio | 0.3675 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BAWAG Group's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
BAWAG Group AG Backtested Returns
BAWAG Group appears to be very steady, given 3 months investment horizon. BAWAG Group AG secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had a 0.15% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for BAWAG Group AG, which you can use to evaluate the volatility of the entity. Please makes use of BAWAG Group's Market Risk Adjusted Performance of 0.3775, coefficient of variation of 586.39, and Mean Deviation of 1.28 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, BAWAG Group holds a performance score of 12. The firm shows a Beta (market volatility) of 0.82, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BAWAG Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding BAWAG Group is expected to be smaller as well. Please check BAWAG Group's expected short fall, and the relationship between the value at risk and daily balance of power , to make a quick decision on whether BAWAG Group's price patterns will revert.
Auto-correlation | 0.09 |
Virtually no predictability
BAWAG Group AG has virtually no predictability. Overlapping area represents the amount of predictability between BAWAG Group time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BAWAG Group AG price movement. The serial correlation of 0.09 indicates that less than 9.0% of current BAWAG Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.67 |
BAWAG Group AG lagged returns against current returns
Autocorrelation, which is BAWAG Group stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting BAWAG Group's stock expected returns. We can calculate the autocorrelation of BAWAG Group returns to help us make a trade decision. For example, suppose you find that BAWAG Group has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
BAWAG Group regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If BAWAG Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BAWAG Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BAWAG Group stock over time.
Current vs Lagged Prices |
| Timeline |
BAWAG Group Lagged Returns
When evaluating BAWAG Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BAWAG Group stock have on its future price. BAWAG Group autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, BAWAG Group autocorrelation shows the relationship between BAWAG Group stock current value and its past values and can show if there is a momentum factor associated with investing in BAWAG Group AG.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards BAWAG Group in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, BAWAG Group's short interest history, or implied volatility extrapolated from BAWAG Group options trading.
Pair Trading with BAWAG Group
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if BAWAG Group position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in BAWAG Group will appreciate offsetting losses from the drop in the long position's value.Moving together with BAWAG Stock
| 0.69 | ADKO | Addiko Bank AG | PairCorr |
| 0.75 | WPB | Wiener Privatbank | PairCorr |
| 0.62 | DOC | DO Aktiengesellschaft | PairCorr |
Moving against BAWAG Stock
| 0.82 | ATS | AT S Austria | PairCorr |
| 0.73 | MMK | Mayr Melnhof Karton Earnings Call This Week | PairCorr |
| 0.61 | RBI | Raiffeisen Bank Inte | PairCorr |
| 0.43 | VER | VERBUND AG | PairCorr |
The ability to find closely correlated positions to BAWAG Group could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace BAWAG Group when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back BAWAG Group - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling BAWAG Group AG to buy it.
The correlation of BAWAG Group is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as BAWAG Group moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if BAWAG Group AG moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for BAWAG Group can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out BAWAG Group Correlation, BAWAG Group Volatility and BAWAG Group Alpha and Beta module to complement your research on BAWAG Group. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Complementary Tools for BAWAG Stock analysis
When running BAWAG Group's price analysis, check to measure BAWAG Group's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy BAWAG Group is operating at the current time. Most of BAWAG Group's value examination focuses on studying past and present price action to predict the probability of BAWAG Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BAWAG Group's price. Additionally, you may evaluate how the addition of BAWAG Group to your portfolios can decrease your overall portfolio volatility.
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BAWAG Group technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.